On the Convergence of thep-Optimal Martingale Measures to the Minimal Entropy Martingale Measure

DOI10.1081/SAP-200044427zbMath1108.91045OpenAlexW2335487262MaRDI QIDQ4678744

Marina Santacroce

Publication date: 23 May 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-200044427

zbMATH Keywords

minimal entropy martingale measurecontingent claim pricingincomplete financial marketssemimartingale backward equation\(p\)-optimal martingale measure

Mathematics Subject Classification ID

Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items

Deformed exponentials and applications to finance ⋮ THE MINIMAL κ-ENTROPY MARTINGALE MEASURE ⋮ Power utility maximization under partial information: some convergence results ⋮ Robust consumption-investment problems with random market coefficients ⋮ Risk aversion asymptotics for power utility maximization ⋮ STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES ⋮ The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model ⋮ Exponential stock models driven by tempered stable processes ⋮ On convergence to the exponential utility problem ⋮ Derivatives pricing viap-optimal martingale measures: some extreme cases

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